关于拟线性混合型边界问题的概率表示

关于某些抛物型和椭圆型偏微分方程的混合边界问题的解被表示为一类联系于Ito正向反射边界随机微分方程的反向随机微分方程的解.     

On Global Existence of Solutions of Initial Boundary Value Problem for a System of Semilinear Parabolic Equations with Nonlinear Nonlocal Neumann Boundary Conditions

We establish conditions for the existence and nonexistence of global solutions of initial boundary value problem for a system of semilinear parabolic equations with nonlinear nonlocal Neumann boundary conditions. We show that these conditions are determined by the behavior of the problem coefficients as t→∞.     

Optimality conditions for stochastic boundary control problems governed by semilinear parabolic equations

We study the boundary control problems for stochastic parabolic equations with Neumann boundary conditions. Imposing super-parabolic conditions, we establish the existence and uniqueness of the solution of state and adjoint equations with non-homogeneous boundary conditions by the Galerkin approximations method. We also find that, in this case, the adjoint equation (BSPDE) has two boundary conditions (one is non-homogeneous, the other is homogeneous). By these results we derive necessary optimality conditions for the control systems under convex state constraints by the convex perturbation method.     

Dynamical spectrum for scalar parabolic equations

In this paper we compute the dynamical spectrum for time dependent scalar parabolic equations with both Neumann and Dirichlet boundary conditions. In order to do that, first, we put forward the concepts of negative continuation, exponential dichotomy and Dynamical Spectrum for linear skew product semiflows. Second, we set the problem in the skew product semiflow frame work and compute explicitly the dynamical spectrum for this semiflow. Finally, we compute the dynamical spectrum for a time dependent system of ordinary differential equations that is obtained by spatially discretizing of the parabolic equation     

A Taylor expansion approach for solving partial differential equations with random Neumann boundary conditions

Nonlinear partial differential equation with random Neumann boundary conditions are considered. A stochastic Taylor expansion method is derived to simulate these stochastic systems numerically. As examples, a nonlinear parabolic equation (the real Ginzburg-Landau equation) and a nonlinear hyperbolic equation (the sine-Gordon equation) with random Neumann boundary conditions are solved numerically using a stochastic Taylor expansion method. The impact of boundary noise on the system evolution is also discussed.     

REGULARITY THEORY FOR SYSTEMS OF PARTIAL DIFFERENTIAL EQUATIONS WITHN EUMANN BOUNDARY CONDITIONS

Inroductlonu consider here a system     

An intrinsic metric approach to uniqueness of the positive Cauchy-Neumann problem for parabolic equations

We study uniqueness of nonnegative solutions of the Cauchy-Neumann problem for parabolic equations in unbounded domains, and give a sufficient condition for the uniqueness of nonnegative solutions to hold. We also give a parabolic Harnack inequality with Neumann boundary conditions.     

Backward stochastic differential equations with rank-based data

In this paper, we investigate Markovian backward stochastic differential equations(BSDEs) with the generator and the terminal value that depend on the solutions of stochastic differential equations with rankbased drift coefficients. We study regularity properties of the solutions of this kind of BSDEs and establish their connection with semi-linear backward parabolic partial differential equations in simplex with Neumann boundary condition. As an application, we study the European option pricing problem with capital size based stock prices.     

Large time behavior of solutions to parabolic equations with Neumann boundary conditions

In this paper we are interested in the large time behavior as t→+∞ of the viscosity solutions of parabolic equations with nonlinear Neumann type boundary conditions in connection with ergodic boundary problems which have been recently studied by Barles and the author in [G. Barles, F. Da Lio, On the boundary ergodic problem for fully nonlinear equations in bounded domains with general nonlinear Neumann boundary conditions, Ann. Inst. H. Poincaré Anal. Non Linèaire 22 (5) (2005) 521-541].     

Global solutions for quasilinear parabolic problems

Results on the global existence of classical solutions for quasilinear parabolic equations in bounded domains with homogeneous Dirichlet or Neumann boundary conditions are presented. Besides quasilinear parabolic equations, the method is also applicable to some weakly-coupled reaction-diffusion systems and to elliptic equations with nonlinear dynamic boundary conditions. Received December 21, 2000; accepted August 30, 2001.     

Comparison results for parabolic differential equations at resonance

The objective of this paper is to develop systematically general comparison techniques for semilinear parabolic equations with periodic and homogeneous Neumann boundary conditions. These results are expected to play a significant role in the existence theory for parabolic boundary value problems at resonance.     

Existence and Uniqueness of Bounded Weak Solutions of a Semilinear Parabolic PDE

This paper has two parts. In part I, the existence and uniqueness are established for Sobolev solutions of a class of semilinear parabolic partial differential equations. Moreover, a probabilistic interpretation of the solutions in terms of backward stochastic differential equations is obtained. In part II, the existence for viscosity solutions of PDEs with obstacle and Neumann boundary condition is proved.     

Incomplete quenching in a system of heat equations coupled at the boundary

In this paper we find a possible continuation for quenching solutions to a system of heat equations coupled at the boundary condition. This system exhibits simultaneous and non-simultaneous quenching. For non-simultaneous quenching our continuation is a solution of a parabolic problem with Neumann boundary conditions. We also give some results for simultaneous quenching and present some numerical experiments that suggest that the approximations are not uniformly bounded in this case.     

Riccati equation arising in the boundary control of stochastic hyperbolic systems

A Riccati equation of stochastic control theory is studied directly. The equation arises in the synthesis of a linear quadratic regulator problem for systems governed by stochastic partial differential equations of hyperbolic type, with contorl acting on the boundary through Dirichlet of Neumann conditions     

Generalized BSDEs and nonlinear Neumann boundary value problems

Summary. We study a new class of backward stochastic differential equations, which involves the integral with respect to a continuous increasing process. This allows us to give a probabilistic formula for solutions of semilinear partial differential equations with Neumann boundary condition, where the boundary condition itself is nonlinear. We consider both parabolic and elliptic equations. Received: 27 September 1996 / In revised form: 1 December 1997     

Limit Behaviour of Solutions to a Class of Equivalued Surface Boundary Value Problems for Parabolic Equations

In this paper, we discuss the limit behaviour of solutions for a class of equivalued surface boundary value problems for parabolic equations. When the equivalued surface boundary \overline{\Gamma}^\varepsilon_1 shrinks to a fixed point on boundary \Gamma_1, only homogeneous Neumann boundary conditions or Neumann boundary conditions with Dirac function appear on \Gamma_1.     

Stochastic partial differential equations in bounded domains with Dirichlet boundary conditions

In this paper we prove the existence of a unique solution for a class of stochastic parabolic partial differential equations in bounded domains, with Dirichlet boundary conditions. The main tool is an equivalence result, provided by the stochastic characteristics method, between the stochastic equations under investigation and a class of deterministic parabolic equations with moving boundaries, depending on random coefficients. We show the existence of the solution to this last problem, thus providing a solution to the former.     

Existence and stability of a stable stationary solution with a boundary layer for a system of reaction–diffusion equations with Neumann boundary conditions

Theoretical and Mathematical Physics - We consider an initial boundary value problem for a singularly perturbed parabolic system of two reaction–diffusion-type equations with Neumann...     

DISCRETE APPROXIMATIONS FOR SINGULARLY PERTURBED BOUNDARY VALUE PROBLEMS WITH PARABOLIC LAYERS,Ⅱ

l)ThisworkwassupportedbyNWOthroughgrantIBo7-3Go12.BOUNDAarv^LUEPRoBLEMFORELLIPTICEQUMIONwiTHMIXEDBOUNDAavCONDITION1.IntroductionInthispedwesketchavarietyofspecialmethodswhichareusedforconstructinge-unifornilyconvergelltschemes-WeshaJldemonstrateamethodwhichachieveshaprovedaccuracyforsolvingsingularlyperturbedb0undaryvalueproblemforeiliPicequatiouswithparabolicboundarylayers-InSecti0n4weshallintroduceanaturalclass,B,oftritefferenceschemes,inwhich(bytheabovementi0nedaP…     

Discrete Approximations for Singularly Perturbed Boundary Value Problems with Parabolic Layers,III

1.IntroductionThesolution0fpartialdifferentiaJequationsthataresingularlyperturbedand/orhavediscontinu0usboundaryconditionsgenerallyhave0nlylimitedsmoothness.DuetothisfaCtdndcultiesaPpearwhenwesolvethesepr0blemsbynumericalmethods.Forexampleforregularparab0licequationswithdiscontinuousboundaryconditions,classicalmethods(FDMorFEM)onregularrectangulargridsd0n0tconvergeintheIoo-normonadomainthatincludesaneighbourhood0fthediscontinulty[8,9,4].Iftheparametermultiplyingthehighest-orderderivativeva…